Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2003/iii/paper-29/1/a/solution

Write . The conditional expectation is an contraction by the conditional Jensen inequality, so are square-integrable. The defining integral identity for conditional expectation, first with bounded measurable truncations of and then with their limit, gives
For clarity, if , then , and the Cauchy-Schwarz inequality permits the limit . Expanding the square now proves the equality case for conditional second moments:
A nonnegative random variable of zero expected value vanishes almost surely. Therefore

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